Does exchange rate risk affect exports asymmetrically? Asian evidence
Does exchange rate risk affect exports asymmetrically? Asian evidence
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DOI：
10.1016/j.jimonfin.2008.11.002
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发表时间：
2009-03-01
影响因子：
2.5
通讯作者：
Miller, Stephen M.
中科院分区：
文献类型：
--
作者：
Fang, WenShwo;Lai, Yihao;Miller, Stephen M.
本文利用动态条件相关双变量GARCH(1，1)-M模型检验了汇率风险非对称效应的假设。这种不对称性意味着汇率风险(波动率)在升值和贬值过程中对出口的影响不同，这可能反映了出口商的不对称风险认知和套期保值行为。以8个亚洲国家对美国的双边出口为例，实际汇率风险对所有国家在贬值或升值期间的出口都有显著影响，无论是负值还是正值。因此，政策制定者可以考虑在汇率贬值之外保持汇率稳定，作为控制出口增长的一种方法。(C)2008爱思唯尔有限公司。保留所有权利。
This paper tests the hypothesis of asymmetric effects of exchange rate risk with a dynamic conditional correlation bivariate GARCH(1,1)-M model. The asymmetry means that exchange rate risk (volatility) affects exports differently during appreciations and depreciations, which may reflect exporter's asymmetric risk perception and hedging behavior. Using bilateral exports from eight Asian Countries to the US, the real exchange rate risk significantly affects exports for all countries, negative or positive, in periods of depreciation or appreciation. Thus, policy makers can consider the stability of the exchange rate in addition to its depreciation as a method of controlling export growth. (c) 2008 Elsevier Ltd. All rights reserved.